This is caused by a missing dependency - SQL-DMO has been deprecated and is no longer part of the Sql Server. When you search the Web looking for solution you will be advised to install the "Backward Compatibility Components" which are part of the "Feature Pack for Microsoft SQL Server 2005". So I did. However, this caused another error:

Runtime Error!
(...)
R6034
An Application has made an attempt to load the C runtime library incorrectly.
Please contact the application's support Sql server team for more information.

Investigating this took me some time. It came out that when you search for "Feature Pack for Microsoft SQL Server 2005" in the Microsoft Download Center the first result you get is actually outdated. There is another download link at the bottom of the search results list, that points to the latest version: